Publication Type
Journal Article
Version
submittedVersion
Publication Date
7-2006
Abstract
The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the domestic–US interest differentials under the two exchange-rate regimes during the Asian Financial Crisis as well as the pre-and post-crisis periods. Using a bivariate generalized autoregressive conditional heteroscedasticity model, we also investigate whether there is any change in the correlation between the domestic and US interest rates due to the Asian Financial Crisis.
Keywords
Asian Financial Crisis, BEKK model, Currency Board System, Exchange-rate system, GARCH model
Discipline
Asian Studies | Econometrics | Finance
Research Areas
Econometrics
Publication
International Review of Economics and Finance
Volume
15
Issue
2
First Page
212
Last Page
227
ISSN
1059-0560
Identifier
10.1016/j.iref.2004.11.004
Publisher
Elsevier
Citation
TSE, Yiu Kuen and YIP, Paul S. L..
Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore. (2006). International Review of Economics and Finance. 15, (2), 212-227.
Available at: https://ink.library.smu.edu.sg/soe_research/455
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.iref.2004.11.004